我国棉花期货价格发现及波动溢出效应研究  

Research on the Price Discovery and Volatility Spillover Effects of Cotton Futures Market in China

作　　者：蔡咏梅 王一帆 张创奇 沈成悦 CAI Yongmei;WANG Yifan;ZHANG Chuangqi;SHEN Chengyue(Xinjiang University of Finance&Economics,Urumqi 830012,China)

机构地区：[1]新疆财经大学,乌鲁木齐830012

出　　处：《中国证券期货》2025年第2期27-35,共9页Securities & Futures of China

基　　金：2024年度新时代党的治疆方略理论与实践研究课题(编号2024ZJFLD06);新疆财经大学高层次人才引进项目(2023XYB007)。

摘　　要：棉花是关系国计民生的重要经济作物,其价格波动不仅影响着棉农的直接收入,还影响着国民经济的健康发展。本文选取2023年1月3日至2024年9月25日我国棉花期现货市场交易数据,建立VEC模型与BEKK-GARCH模型,探究我国棉花期货的价格发现功能和波动溢出效应。研究显示:协整检验表明棉花期现货之间存在一个长期均衡关系;格兰杰因果检验显示棉花期货价格对现货价格具有单向引导作用;VEC模型发现棉花期货价格的短期波动震荡显著影响现货价格的短期变动;脉冲响应分析与方差分解显示棉花期货可以更大程度影响现货价格,期货市场中包含的信息更多;BEKK-GARCH模型表明棉花期货收益波动对现货收益波动具有显著的正向引导作用且影响较为持久。Cotton is a vital economic crop closely tied to national welfare and livelihood.Its price fluctuations not only directly affect the income of cotton farmers but also influence the overall stability of the national economy.This study utilizes transaction data from China’s cotton futures and spot markets from January 3,2023,to September 25,2024,to investigate the price discovery function and volatility spillover effects of cotton futures using the VECM and BEKK-GARCH models.The empirical results indicate that the cointegration test confirms a long-term equilibrium relationship between cotton futures and spot prices.The Granger causality test reveals a unidirectional causal relationship,with futures prices leading spot prices.The VECM demonstrates that short-term fluctuations in futures prices significantly impact short-term movements in spot prices.Impulse response analysis and variance decomposition further suggest that cotton futures have a stronger influence on spot prices,incorporating more market information.Moreover,the BEKK-GARCH model indicates that the volatility of futures returns has a significant and persistent positive spillover effect on spot returns.

关 键 词：棉花期货 价格发现功能 波动溢出效应 

分 类 号：F323.7[经济管理—产业经济]